Riccardo Rebonato

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1.

The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes

Number of pages: 12 Posted: 10 Dec 2011

Riccardo Rebonato and Peter Jaeckel

Independent and affiliation not provided to SSRN

Downloads 4,169 (4,891)

Citation 24

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2.

Coherent Asset Allocation and Diversification in the Presence of Stress Events

Journal of Investment Management (JOIM), Fourth Quarter 2012

Posted: 20 May 2013

Riccardo Rebonato and Alexander Denev

Independent and University of Oxford

Abstract:

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Riccardo Rebonato

Independent

2

Top 23,886

4,169

1

9

Scholarly Papers (2)

The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes

Abstract:

Coherent Asset Allocation and Diversification in the Presence of Stress Events

Abstract: